No GPU utilization with CUDA devices [cycles]
As said above in comments, I suspect(ed) RDP is doing much more that just remoting frames, and it could tweak the remote session to not use GPU, at least not with blender cycles... and by default. There are similar questions on other QA sites (https://serverfault.com/questions/880922/gcloud-machine-doesnt-see-gpu-over-rdp).

RDP is a highly efficient Remote Desktop Protocol, not just a remote video/audio frame repeater: it creates a new session, which can have more or less features, but imho it could try to "optimize" the viewer experience and, for some reason, not expose the GPU to the session.

VNC or Teamviewer are different: they don't create a new session, they "just" transmit an existent session "frames" (but the session is running as it was local, with all its features), trying to optimize the transmitted video/audio for the remote transmission... 

It's probably a somewhat more "neutral" way of remoting a session, but also RDP could be much more efficient, and give better performances if you can work with the session "features" it allows/exposes to your client.